I just bought a 1995 BMW 325i with an anti-theft radio, there is a red flashing light on it that is not very inviting. I'd like to exchange this with a Clarion CD player, does anyone know what to do? I don't want to remove the radio and have the alarm go off until the battery dies! Any advice is greatly appreciated.

The alarm doesn't go off with the removal of the radio... the only thing that is anti-theft about the radio is that if it looses power (stolen) it must have its unique serial number entered for it to work again. Nothing will happen with the car with the removal of the radio.